I want to get the textEditorFocusLost event from the Slider's TextEditor. I'm not sure how best to go about it. I have added the TextEditor::Listener to my component and added the virtual functions, but its not triggering the textEditorFocusLost function.

Is there a way to accomplish this using the JUCE Slider or do I need to create a subclass?

If you're doing a virtual keyboard, the correct approach would be to not make any changes to the label, but to deal with TextInputTargets directly. There's a method ComponentPeer::findCurrentTextInputTarget() which you could call when the focus changes (use the Desktop class to create a global focus watcher), and then show your keyboard when an input target is active.